i have coppers and upgraded to the w4s - here's what to expect:
the coppers have a super boosted, flubby bass that's awesome for dubstep. it's a very fun earphone in that way. you can actually feel the bass punching your eardrums because it's a dynamic driver. i thought that the turbines were muddy when i went to the coppers, then i tried BA iems (se535, westone 3, um3x, w4) and realized the coppers were pretty muddy themselves!
the w4s have significantly more detail in all ranges and realism to instruments that you won't have ever picked up with the coppers - switching back and forth, the coppers sound a bit artificial especially in the frequency extremes. where the coppers just play back notes, the w4 gives you the texture and timbre of the instrument playing the note. BA phones are also very fast compared to coppers so they handle fast metal better.
the treble detail and extension is a huge step up on the westones - cymbals have a fine shimmer like they do in real life, they are much crispier and detailed and on a completely different level than the coppers. treble presence is also increased over the coppers, which took me a week to get used to.
the mids on the w4s i find slightly veiled for some reason, but they sound warm and more realistic than the coppers. listening to distortion on guitars is a treat on these earphones, the texture of the distortion on guitars is really brought out on the w4s.
there's about 3x less bass than the coppers, as the w4s are designed to be flat. that said, you'll hear bass detail like you've never heard with the w4 - i hear every nuance of the bass guitar, and by comparison, coppers just play a bass note but on the w4s actually show you the texture of the note. i didn't know that bass guitars had tone until the westones lol. quantity is hugely decreased compared to the coppers, and the w4 bass is SUPER TIGHT. very controlled. more than i'd like for a lot of songs, but i expected this switching from a bass heavy dynamic to a reference, flat BA phone.
soundstage is very 3d and like an open semi-circle compared to the coppers.
one of the biggest things that got me when i switched to the w4s though: instrumental separation and imaging. instruments have a clearly defined position in the soundstage and stay there - you can listen through an entire song and focus on only one instrument all the way through and clearly hear what that particular instrument is doing throughout the entire song. that was worth me giving up the bass impact and bass extension of the coppers (i have a bass heavy EQ on my source anyway, but you still can't make a BA push air like a dynamic).
instrumental separation is actually one of the hallmarks of the westone 4, along with the UM3X, so I believe that those are the best that top tier universals get as far as that AFAIK. i EQd away the bass hump of the coppers and realized that the instruments are actually all squashed together by comparison (of course, the difference varies with the quality of the recording and how well it was mastered, some tracks the difference is huge, poorly done tracks are noticeably squashed on both earphones but the w4 still tries to spread it out!).
efficiency: while the w4 is inefficient for a BA iem because of the 4 drivers, it is still more efficient than the coppers - on my cowon my listening volume is reduced by 7-12 clicks (out of 40)
also, i noticed that the w4s have a recessed centre field / vocal presentation compared to most other earphones... they tend to favour backing instruments as one other person mentioned on head fi.
as for grados, i tried a pair (i don't know what it was but it was in the 100-200 dollar range) for a couple minutes and thought it sounded somewhat similar to my coppers, with the same fun, punchy, albeit slightly muddy bass. if you liked the bass on coppers and grados then you'll miss it on the w4s.